Improved prediction for a multivariate normal distribution with unknown mean and variance

DOI10.1007/S10463-007-0163-ZMaRDI QIDQ841018zbMATHOpenAlexFDO

Authors Kengo Kato

Publication date 14 September 2009

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-007-0163-z

zbMATH Keywords

multivariate normal distributionKullback-Leibler divergencemultivariate \(t\)-distributionBayesian predictionshrinkage priorstar orderingright invariant prior

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

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Cites work

• scientific article; zbMATH DE number 735230 (Why is no real title available?)
• A shrinkage predictive distribution for multivariate normal observables
• Admissible predictive density estimation
• Dispersive ordering of distributions
• Dispersive ordering-some applications and examples
• Exact Minimax Strategies for Predictive Density Estimation, Data Compression, and Model Selection
• Generalized Bayes minimax estimators of the multivariate normal mean with unknown covariance matrix
• Goodness of prediction fit
• Improved minimax predictive densities under Kullback-Leibler loss
• On asymptotic properties of predictive distributions

Cited in

(22)

• Predictive density estimators with integrated \(L_1\) loss
• Bayesian predictive density estimation for a chi-squared model using information from a normal observation with unknown mean and variance
• Minimax predictive density for sparse count data
• On discrete priors and sparse minimax optimal predictive densities
• Predictive density estimation under the Wasserstein loss
• Optimal shrinkage estimation of predictive densities under \(\alpha\)-divergences
• Calibrated multivariate distributions for improved conditional prediction
• Bayesian shrinkage prediction for the regression problem
• Studentization and prediction in a multivariate normal setting
• A new predictive distribution for normal multivariate linear models
• scientific article; zbMATH DE number 7750677 (Why is no real title available?)
• Proper Bayes and minimax predictive densities related to estimation of a normal mean matrix
• Minimaxity in predictive density estimation with parametric constraints
• On predictive density estimation with additional information
• A shrinkage predictive distribution for multivariate normal observables
• Density prediction and the Stein phenomenon
• On predictive density estimation for gamma models with parametric constraints
• Enriched standard conjugate priors and the right invariant prior for Wishart distributions
• On efficient prediction and predictive density estimation for normal and spherically symmetric models
• scientific article; zbMATH DE number 706376 (Why is no real title available?)
• On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance.
• From minimax shrinkage estimation to minimax shrinkage prediction

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